Non-constant discounting and consumption, portfolio and life insurance rules
作者： Jesús Marín-Solano , Jorge Navas , Oriol Roch
DOI: 10.1016/J.ECONLET.2013.02.023
关键词:
摘要: Consumption, portfolio and life insurance rules are studied for an investor with arbitrary but known distribution of lifetime time-inconsistent preferences. Solutions found naive sophisticated agents the family CARA CRRA utility functions. Effects non-constant discounting illustrated numerically.
elsevier.com
sci-hub.se 参考文章(12)
Ivar Ekeland, Oumar Mbodji, Traian A. Pirvu, Time-Consistent Portfolio Management Siam Journal on Financial Mathematics. ,vol. 3, pp. 1- 32 ,(2012) , 10.1137/100810034
Ignacio Palacios-Huerta, Alonso Pérez-Kakabadse, Consumption and portfolio rules whit stochastic hyperbolic discounting Research Papers in Economics. ,(2011)
Jesús Marín-Solano, Concepció Patxot, Heterogeneous discounting in economic problems Optimal Control Applications & Methods. ,vol. 33, pp. 32- 50 ,(2012) , 10.1002/OCA.975
Stanley R. Pliska, Jinchun Ye, Optimal life insurance purchase and consumption/investment under uncertain lifetime Journal of Banking & Finance. ,vol. 31, pp. 1307- 1319 ,(2007) , 10.1016/J.JBANKFIN.2006.10.015
Christopher Harris, David Laibson, Dynamic Choices of Hyperbolic Consumers Econometrica. ,vol. 69, pp. 935- 957 ,(2001) , 10.1111/1468-0262.00225
R. H. Strotz, Myopia and Inconsistency in Dynamic Utility Maximization The Review of Economic Studies. ,vol. 23, pp. 165- 180 ,(1955) , 10.2307/2295722
Ignacio Palacios-Huerta, Alonso Pérez-Kakabadse, Consumption and Portfolio Rules with Stochastic Quasi-Hyperbolic Discounting Social Science Research Network. ,(2011) , 10.2139/SSRN.1465110
George Loewenstein, Ted O'Donoghue, Shane Frederick, Time Discounting and Time Preference: A Critical Review Journal of Economic Literature. ,vol. 40, pp. 351- 401 ,(2002) , 10.1257/002205102320161311
Jesús Marín-Solano, Jorge Navas, Consumption and portfolio rules for time-inconsistent investors European Journal of Operational Research. ,vol. 201, pp. 860- 872 ,(2010) , 10.1016/J.EJOR.2009.04.005
Jiongmin Yong, , Time-inconsistentoptimal control problems and the equilibrium HJB equation Mathematical Control and Related Fields. ,vol. 2, pp. 271- 329 ,(2012) , 10.3934/MCRF.2012.2.271